TY - JOUR
T1 - Autoregressive conditional duration models in finance
T2 - A survey of the theoretical and empirical literature
AU - Pacurar, Maria
PY - 2008
Y1 - 2008
N2 - This paper provides an up-to-date survey of the main theoretical developments in autoregressive conditional duration (ACD) modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of events and some market characteristics. Then, we present the empirical applications of ACD models to different types of events, and identify possible directions for future research.
AB - This paper provides an up-to-date survey of the main theoretical developments in autoregressive conditional duration (ACD) modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of events and some market characteristics. Then, we present the empirical applications of ACD models to different types of events, and identify possible directions for future research.
UR - http://www.scopus.com/inward/record.url?scp=48849110213&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=48849110213&partnerID=8YFLogxK
U2 - 10.1111/j.1467-6419.2007.00547.x
DO - 10.1111/j.1467-6419.2007.00547.x
M3 - Article
AN - SCOPUS:48849110213
SN - 0950-0804
VL - 22
SP - 711
EP - 751
JO - Journal of Economic Surveys
JF - Journal of Economic Surveys
IS - 4
ER -